UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23072
First Trust Dynamic
Europe Equity Income Fund
(Exact name of registrant as specified in charter)
7120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Performance | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | 5 Years Ended 6/30/21 | Inception (9/24/15) to 6/30/21 | |
Fund Performance(3) | ||||
NAV | 11.76% | 33.04% | 5.66% | 4.57% |
Market Value | 16.84% | 37.82% | 5.76% | 1.91% |
Index Performance | ||||
MSCI Europe Index | 11.80% | 35.09% | 10.34% | 8.62% |
(1) | Most recent distribution paid or declared through June 30, 2021. Subject to change in the future. |
(2) | Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share Price or NAV, as applicable, as of June 30, 2021. Subject to change in the future. |
(3) | Total return is based on the combination of reinvested dividend, capital gain, and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results. |
1 | Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 115.4% | ||||
Aerospace & Defense – 2.1% | ||||
19,684 | Airbus SE (b) | $2,531,023 | ||
396,042 | BAE Systems PLC | 2,859,750 | ||
5,390,773 | ||||
Automobiles – 2.2% | ||||
30,237 | Daimler AG | 2,699,770 | ||
153,968 | Stellantis N.V. | 3,022,223 | ||
5,721,993 | ||||
Banks – 9.5% | ||||
111,666 | BAWAG Group AG (c) (d) | 5,942,469 | ||
70,692 | BNP Paribas S.A. | 4,431,724 | ||
823,156 | HSBC Holdings PLC | 4,751,677 | ||
482,760 | ING Groep N.V. | 6,376,900 | ||
4,350,922 | Lloyds Banking Group PLC | 2,810,098 | ||
24,312,868 | ||||
Beverages – 2.8% | ||||
123,053 | Coca-Cola HBC AG | 4,449,530 | ||
58,180 | Diageo PLC | 2,785,427 | ||
7,234,957 | ||||
Building Products – 1.2% | ||||
47,410 | Cie de Saint-Gobain | 3,122,259 | ||
Capital Markets – 3.5% | ||||
150,530 | 3i Group PLC | 2,442,516 | ||
176,214 | St. James’s Place PLC | 3,600,288 | ||
197,086 | UBS Group AG | 3,016,199 | ||
9,059,003 | ||||
Commercial Services & Supplies – 1.7% | ||||
630,522 | Babcock International Group PLC (b) | 2,529,383 | ||
1,763,586 | Prosegur Cash S.A. (c) (d) | 1,792,135 | ||
4,321,518 | ||||
Construction Materials – 1.2% | ||||
50,473 | Holcim Ltd. | 3,027,562 | ||
Diversified Financial Services – 2.6% | ||||
392,133 | BFF Bank S.p.A. (c) (d) | 3,929,011 | ||
843,470 | M&G PLC | 2,670,741 | ||
6,599,752 | ||||
Diversified Telecommunication Services – 2.8% | ||||
359,683 | Telefonica S.A. | 1,680,813 | ||
318,706 | Telenor ASA | 5,370,899 | ||
7,051,712 | ||||
Electric Utilities – 5.5% | ||||
271,611 | Enel S.p.A. | 2,522,396 | ||
365,138 | Iberdrola S.A. | 4,450,853 | ||
344,571 | SSE PLC | 7,152,059 | ||
14,125,308 | ||||
Electrical Equipment – 3.8% | ||||
161,450 | ABB Ltd. | 5,477,347 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Electrical Equipment (Continued) | ||||
26,220 | Schneider Electric SE | $4,125,070 | ||
9,602,417 | ||||
Food Products – 4.8% | ||||
40,000 | Danone S.A. | 2,815,919 | ||
76,631 | Nestle S.A. | 9,542,744 | ||
12,358,663 | ||||
Hotels, Restaurants & Leisure – 2.5% | ||||
54,854 | Sodexo S.A. (b) | 5,118,894 | ||
30,377 | Whitbread PLC (b) | 1,311,880 | ||
6,430,774 | ||||
Household Durables – 1.0% | ||||
163,038 | Vistry Group PLC | 2,653,366 | ||
Household Products – 0.9% | ||||
25,280 | Reckitt Benckiser Group PLC | 2,237,020 | ||
Insurance – 9.2% | ||||
29,089 | Allianz SE | 7,253,727 | ||
61,792 | ASR Nederland N.V. | 2,387,865 | ||
221,761 | AXA S.A. | 5,623,252 | ||
523,022 | Direct Line Insurance Group PLC | 2,061,964 | ||
77,181 | NN Group N.V. | 3,640,561 | ||
53,338 | Sampo OYJ, Class A | 2,451,397 | ||
23,418,766 | ||||
Internet & Direct Marketing Retail – 1.0% | ||||
25,869 | Prosus N.V. | 2,529,698 | ||
Machinery – 4.4% | ||||
258,971 | OC Oerlikon Corp. AG | 2,871,702 | ||
100,737 | SKF AB, Class B | 2,564,891 | ||
242,900 | Volvo AB, Class B | 5,843,950 | ||
11,280,543 | ||||
Media – 1.9% | ||||
150,530 | Informa PLC (b) | 1,044,472 | ||
600,287 | Mediaset Espana Comunicacion S.A. (b) | 3,765,371 | ||
4,809,843 | ||||
Metals & Mining – 4.2% | ||||
60,262 | Anglo American PLC | 2,394,528 | ||
157,750 | BHP Group PLC | 4,647,992 | ||
44,013 | Rio Tinto PLC | 3,621,940 | ||
10,664,460 | ||||
Multi-Utilities – 3.2% | ||||
651,785 | National Grid PLC | 8,302,063 | ||
Oil, Gas & Consumable Fuels – 9.1% | ||||
1,121,290 | BP PLC | 4,885,903 | ||
365,405 | Repsol S.A. | 4,572,826 | ||
342,206 | Royal Dutch Shell PLC, Class A | 6,899,726 | ||
150,974 | TotalEnergies SE | 6,830,410 | ||
23,188,865 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Paper & Forest Products – 1.5% | ||||
102,950 | UPM-Kymmene OYJ | $3,894,127 | ||
Personal Products – 2.0% | ||||
86,347 | Unilever PLC | 5,054,283 | ||
Pharmaceuticals – 15.0% | ||||
46,196 | AstraZeneca PLC | 5,548,691 | ||
27,528 | Bayer AG | 1,671,562 | ||
356,087 | GlaxoSmithKline PLC | 6,991,612 | ||
86,845 | Novartis AG | 7,914,370 | ||
42,166 | Novo Nordisk A.S., Class B | 3,532,632 | ||
16,951 | Roche Holding AG | 6,385,594 | ||
61,839 | Sanofi | 6,479,049 | ||
38,523,510 | ||||
Professional Services – 4.3% | ||||
68,109 | Adecco Group AG | 4,627,216 | ||
98,445 | Bureau Veritas S.A. (b) | 3,114,387 | ||
121,617 | RELX PLC | 3,228,388 | ||
10,969,991 | ||||
Semiconductors & Semiconductor Equipment – 2.8% | ||||
31,811 | BE Semiconductor Industries N.V. | 2,698,481 | ||
112,552 | Infineon Technologies AG | 4,513,568 | ||
7,212,049 | ||||
Software – 1.5% | ||||
27,831 | SAP SE | 3,921,792 | ||
Textiles, Apparel & Luxury Goods – 0.8% | ||||
74,952 | Burberry Group PLC (b) | 2,142,051 | ||
Tobacco – 2.6% | ||||
304,771 | Imperial Brands PLC | 6,564,152 | ||
Wireless Telecommunication Services – 3.8% | ||||
218,379 | Tele2 AB, Class B | 2,975,309 | ||
4,035,972 | Vodafone Group PLC | 6,774,363 | ||
9,749,672 | ||||
Total Common Stocks | 295,475,810 | |||
(Cost $292,416,235) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 4.6% | ||||
Equity Real Estate Investment Trusts – 4.6% | ||||
1,107,517 | British Land (The) Co., PLC | 7,582,008 | ||
168,321 | Eurocommercial Properties N.V. | 4,187,327 | ||
Total Real Estate Investment Trusts | 11,769,335 | |||
(Cost $18,253,693) | ||||
Total Investments – 120.0% | 307,245,145 | |||
(Cost $310,669,928) (e) |
Number of Contracts | Description | Counterparty | Notional Amount | Exercise Price (Euro) | Expiration Date | Value | ||||||
CALL OPTIONS WRITTEN – (0.6)% | ||||||||||||
(420) | EURO STOXX 50 Index | CB | $(20,240,826) | €4,050.00 | Jul 2021 | (287,355) |
Number of Contracts | Description | Counterparty | Notional Amount | Exercise Price (Euro) | Expiration Date | Value | ||||||
CALL OPTIONS WRITTEN (Continued) | ||||||||||||
(420) | EURO STOXX 50 Index | CB | $(20,240,826) | €4,075.00 | Jul 2021 | $(206,676) | ||||||
(420) | EURO STOXX 50 Index | CB | (20,240,826) | 4,075.00 | Aug 2021 | (421,321) | ||||||
(430) | EURO STOXX 50 Index | SG | (20,722,750) | 4,150.00 | Aug 2021 | (202,419) | ||||||
(440) | EURO STOXX 50 Index | CB | (21,204,675) | 4,150.00 | Sep 2021 | (321,386) | ||||||
Total Call Options Written | (1,439,157) | |||||||||||
(Premiums received $2,044,739) |
Outstanding Loans – (30.4)% |
(77,785,724) | ||
Net Other Assets and Liabilities – 11.0% |
28,097,962 | ||
Net Assets – 100.0% |
$256,118,226 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 6/30/2021 | Sale Value as of 6/30/2021 | Unrealized Appreciation/ (Depreciation) | ||||||||
09/30/21 | BNS | USD | 18,000,000 | GBP | 13,007,284 | $ 18,000,000 | $ 17,996,760 | $ 3,240 |
(a) | All or a portion of these securities are available to serve as collateral for the outstanding loans and call options written. |
(b) | Non-income producing security. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(d) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(e) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $33,148,404 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $35,964,365. The net unrealized depreciation was $2,815,961. The unrealized amounts presented are inclusive of derivative contracts. |
Counterparty Abbreviations | |
BNS | Bank of Nova Scotia |
CB | Clearstream Banking S.A. |
SG | Societe Generale |
ASSETS TABLE | ||||
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 295,475,810 | $ 295,475,810 | $ — | $ — |
Real Estate Investment Trusts* | 11,769,335 | 11,769,335 | — | — |
Total Investments | 307,245,145 | 307,245,145 | — | — |
Forward Foreign Currency Contracts | 3,240 | — | 3,240 | — |
Total | $ 307,248,385 | $ 307,245,145 | $ 3,240 | $— |
LIABILITIES TABLE | ||||
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Call Options Written | $ (1,439,157) | $ — | $ (1,439,157) | $ — |
* | See Portfolio of Investments for industry breakout. |
Currency Exposure Diversification | % of Total Investments† |
EUR | 41.8% |
GBP | 38.8 |
CHF | 13.2 |
SEK | 3.5 |
NOK | 1.6 |
DKK | 1.1 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
NOK | Norwegian Krone |
SEK | Swedish Krona |
ASSETS: | |
Investments, at value (Cost $310,669,928) | $ 307,245,145 |
Cash | 24,632,154 |
Foreign currency (Cost $141,802) | 141,914 |
Unrealized appreciation on forward foreign currency contracts | 3,240 |
Receivables: | |
Dividend reclaims | 2,673,483 |
Dividends | 1,287,845 |
Prepaid expenses | 3,067 |
Total Assets | 335,986,848 |
LIABILITIES: | |
Outstanding loans | 77,785,724 |
Options written, at value (Premiums received $2,044,739) | 1,439,157 |
Payables: | |
Investment advisory fees | 309,329 |
Interest and fees on loans | 185,164 |
Administrative fees | 59,373 |
Audit and tax fees | 55,244 |
Legal fees | 15,367 |
Shareholder reporting fees | 7,425 |
Trustees’ fees and expenses | 5,285 |
Custodian fees | 3,344 |
Transfer agent fees | 1,010 |
Financial reporting fees | 984 |
Other liabilities | 1,216 |
Total Liabilities | 79,868,622 |
NET ASSETS | $256,118,226 |
NET ASSETS consist of: | |
Paid-in capital | $ 289,819,121 |
Par value | 172,319 |
Accumulated distributable earnings (loss) | (33,873,214) |
NET ASSETS | $256,118,226 |
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) | $14.86 |
Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) | 17,231,908 |
INVESTMENT INCOME: | ||
Dividends (net of foreign withholding tax of $941,781) | $ 9,474,007 | |
Other | 51 | |
Total investment income | 9,474,058 | |
EXPENSES: | ||
Investment advisory fees | 1,797,912 | |
Interest and fees on loans | 386,480 | |
Administrative fees | 69,465 | |
Shareholder reporting fees | 44,236 | |
Custodian fees | 21,463 | |
Listing expense | 21,054 | |
Audit and tax fees | 21,025 | |
Legal fees | 20,001 | |
Transfer agent fees | 10,887 | |
Trustees’ fees and expenses | 9,147 | |
Financial reporting fees | 4,838 | |
Other | 20,088 | |
Total expenses | 2,426,596 | |
NET INVESTMENT INCOME (LOSS) | 7,047,462 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 13,312,135 | |
Written options contracts | (10,262,385) | |
Forward foreign currency contracts | 128,193 | |
Foreign currency transactions | (283) | |
Net realized gain (loss) | 3,177,660 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 12,360,846 | |
Written options contracts | 2,942,643 | |
Forward foreign currency contracts | 3,240 | |
Foreign currency translation | 1,285,268 | |
Net change in unrealized appreciation (depreciation) | 16,591,997 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 19,769,657 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 26,817,119 |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended 12/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 7,047,462 | $ 6,104,395 | |
Net realized gain (loss) | 3,177,660 | (31,329,842) | |
Net change in unrealized appreciation (depreciation) | 16,591,997 | (1,396,359) | |
Net increase (decrease) in net assets resulting from operations | 26,817,119 | (26,621,806) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (6,203,487) | (7,155,726) | |
Return of capital | — | (9,455,833) | |
Total distributions to shareholders | (6,203,487) | (16,611,559) | |
Total increase (decrease) in net assets | 20,613,632 | (43,233,365) | |
NET ASSETS: | |||
Beginning of period | 235,504,594 | 278,737,959 | |
End of period | $ 256,118,226 | $ 235,504,594 | |
COMMON SHARES: | |||
Common Shares at end of period | 17,231,908 | 17,231,908 |
Cash flows from operating activities: | ||
Net increase (decrease) in net assets resulting from operations | $26,817,119 | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||
Purchases of investments | (47,349,353) | |
Sales of investments | 73,680,839 | |
Proceeds from written options | 4,703,562 | |
Amount paid to close written options | (15,711,253) | |
Net realized gain/loss on investments and written options | (3,049,750) | |
Net change in unrealized appreciation/depreciation on investments and written options | (15,303,489) | |
Net change in unrealized appreciation/depreciation on forward foreign currency contracts | (3,240) | |
Changes in assets and liabilities: | ||
Increase in dividend reclaims receivable | (36,200) | |
Increase in dividends receivable | (551,228) | |
Increase in prepaid expenses | (2,659) | |
Decrease in interest and fees payable on loans | (62,354) | |
Increase in investment advisory fees payable | 19,281 | |
Decrease in audit and tax fees payable | (38,544) | |
Increase in legal fees payable | 5,033 | |
Decrease in shareholder reporting fees payable | (11,053) | |
Increase in administrative fees payable | 14,318 | |
Decrease in custodian fees payable | (2,119) | |
Decrease in transfer agent fees payable | (642) | |
Increase in trustees’ fees and expenses payable | 5,285 | |
Increase in financial reporting fees payable | 213 | |
Decrease in other liabilities payable | (4,487) | |
Cash provided by operating activities | $23,119,279 | |
Cash flows from financing activities: | ||
Distributions to Common Shareholders from investment operations | (6,203,487) | |
Effect of exchange rate changes on Euro Loans (a) | (1,446,770) | |
Cash used in financing activities | (7,650,257) | |
Increase in cash and foreign currency | 15,469,022 | |
Cash and foreign currency at beginning of period | 9,305,046 | |
Cash and foreign currency at end of period | $24,774,068 | |
Supplemental disclosure of cash flow information: | ||
Cash paid during the period for interest and fees | $438,421 |
(a) | This amount is a component of net change in unrealized appreciation (depreciation) on foreign currency translation as shown on the Statement of Operations. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 13.67 | $ 16.18 | $ 14.66 | $ 19.87 | $ 17.96 | $ 19.07 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.41 | 0.35 | 0.82 | 0.74 | 0.78 | 0.73 | |||||
Net realized and unrealized gain (loss) | 1.14 | (1.90) | 2.15 | (4.50) | 3.02 | (0.39) | |||||
Total from investment operations | 1.55 | (1.55) | 2.97 | (3.76) | 3.80 | 0.34 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.36) | (0.41) | (1.08) | (0.70) | (0.14) | (1.13) | |||||
Net realized gain | — | — | — | (0.75) | (0.75) | — | |||||
Return of capital | — | (0.55) | (0.37) | — | (1.00) | (0.32) | |||||
Total distributions paid to Common Shareholders | (0.36) | (0.96) | (1.45) | (1.45) | (1.89) | (1.45) | |||||
Net asset value, end of period | $14.86 | $13.67 | $16.18 | $14.66 | $19.87 | $17.96 | |||||
Market value, end of period | $13.41 | $11.80 | $14.93 | $12.64 | $18.83 | $15.52 | |||||
Total return based on net asset value (a) | 11.76% | (7.79)% | 22.24% | (19.36)% | 22.66% | 3.30% | |||||
Total return based on market value (a) | 16.84% | (13.74)% | 30.82% | (26.64)% | 34.51% | (0.80)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 256,118 | $ 235,505 | $ 278,738 | $ 252,663 | $ 342,383 | $ 309,455 | |||||
Ratio of total expenses to average net assets | 1.95% (b) | 2.15% | 1.99% | 1.91% | 1.85% | 1.83% | |||||
Ratio of total expenses to average net assets excluding interest expense | 1.64% (b) | 1.71% | 1.69% | 1.65% | 1.60% | 1.59% | |||||
Ratio of net investment income (loss) to average net assets | 5.66% (b) | 2.82% | 5.37% | 4.19% | 4.09% | 4.13% | |||||
Portfolio turnover rate | 15% | 43% | 64% | 44% | 39% | 41% | |||||
Indebtedness: | |||||||||||
Total loans outstanding (in 000’s) | $ 77,786 | $ 79,232 | $ 100,524 | $ 87,650 | $ 101,987 | $ 85,791 | |||||
Asset coverage per $1,000 of indebtedness (c) | $ 4,293 | $ 3,972 | $ 3,773 | $ 3,883 | $ 4,357 | $ 4,607 |
(a) | Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan, and changes in net asset value per share for net asset value returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results. |
(b) | Annualized. |
(c) | Calculated by subtracting the Fund’s total liabilities (not including the loans outstanding) from the Fund’s total assets, and dividing by the outstanding loans balance in 000’s. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Received | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ 3,240 | $ — | $ 3,240 | $ — | $ — | $ 3,240 |
Distributions paid from: | |
Ordinary income | $7,155,726 |
Capital gains | — |
Return of capital | 9,455,833 |
Undistributed ordinary income | $— |
Undistributed capital gains | — |
Total undistributed earnings | — |
Accumulated capital and other losses | (33,668,770) |
Net unrealized appreciation (depreciation) | (20,818,076) |
Total accumulated earnings (losses) | (54,486,846) |
Other | — |
Paid-in capital | 289,991,440 |
Total net assets | $235,504,594 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 3,240 | Unrealized depreciation on forward foreign currency contracts | $ — | |||||
Written Options | Equity Risk | — | — | Options written, at value | 1,439,157 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $128,193 |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | 3,240 |
Equity Risk Exposure | |
Net realized gain (loss) on written options contracts | $(10,262,385) |
Net change in unrealized appreciation (depreciation) on written options contracts | 2,942,643 |
(1) | If Common Shares are trading at or above net asset value (“NAV”) at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) NAV per Common Share on that date or (ii) 95% of the market price on that date. |
(2) | If Common Shares are trading below NAV at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase Common Shares in the open market, on the NYSE or elsewhere, for the participants’ accounts. It is possible that the market price for the Common Shares may increase before the Plan Agent has completed its purchases. Therefore, the average purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in Common Shares issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase Common Shares in the open market within 30 days of the valuation date except where temporary curtailment or suspension of purchases is necessary to comply with federal securities laws. Interest will not be paid on any uninvested cash payments. |
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | There have been no changes, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the Registrant’s most recent annual report on Form N-CSR. |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities For Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(c) | Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19a-l under the 1940 Act, dated March 24, 2010. (1) |
(1) | The Fund received exemptive relief from the Securities and Exchange Commission which permits the Fund to make periodic distributions of long-term capital gains as frequently as monthly each taxable year. The relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders. In that regard, attached as an exhibit to this filing is a copy of such notice made during the period. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Dynamic Europe Equity Income Fund |
By (Signature and Title)* | /s/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date | September 1, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date | September 1, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |||
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date | September 1, 2021 |
* Print the name and title of each signing officer under his or her signature.